Senior Market Risk Quant Developer
Credit Suisse
Warsaw, Warsaw, Poland
5 d. temu

We Offer

The Risk division is a highly visible, dynamic area of the firm where you can be an integral part of decisions making that supports the bank’s business.

Our responsibilities range from enterprise risk management to risk and finance reporting and regional risk teams covering the risk management for our entities.

The Risk division's long-term success depends on our ability to achieve our vision and fulfill our mandate. Ultimately, this depends on the skills, experience and engagement of our employees.

We offer a collaborative and entrepreneurial environment that offers direct contact with senior management and encourages leadership at all levels.

Team and responsibilities :

The Models and Methodology team is responsible for developing internal models used to compute risk management metrics for the business and other risk divisions as well as the development and maintenance of models relevant for computing the market risk capital of the bank.

  • You will be part of the global macro team covering FX, rates and commodities and will lead a team of two Quant / Developers
  • You will maintain, develop and be the lead of the LASER platform which is a key platform used for Time series generation across the full spectrum of market and historical data the bank uses to compute key risk figures for risk management and capital purpose
  • You will develop in python / C# the necessary tools and platforms to automate the back-testing of existing and new models needed for regulatory purpose or for internal methodology stake holders within global macro
  • You will work globally across multiple projects which all have high exposure to the management
  • You will interface the Front office analytics and build the necessary interfaces to ping the relevant valuation functions along with fetching the underlying data (market data, historical data and static data)
  • We offer a rare opportunity to develop a generic back-testing platform to support the bank’s needs around the SR117 commitment covering the global-macro scope
  • Open to discussing flexible / agile working.

    You Offer

  • You have strong C# and Python coding skills.
  • You have at least 6 years of experience.
  • You are experienced with IT implementation.
  • You have outstanding mathematical and analytical skills.
  • You feel comfortable with in English-speaking environment.
  • You hold a degree in Mathematics, Engineering or a Scientific Discipline.
  • Experience as a Data scientist and deep understanding of statistical modeling would be ideal.
  • Knowledge of value at risk, Rates, Fx, Commodities pricing models is a plus but not required.
  • Team Leader experience would be an advantage.
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